TSM Options History — August 2015

In August 2015, TSM traded between $18.79 and $21.72. ATM implied volatility averaged 30.4%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 2.4% (HV 20d: 27.9%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.47.

Notable Days

  • 2015-08-20: Highest Volume — 34,952 contracts
  • 2015-08-24: Largest IV spike — 32.2% change
  • 2015-08-24: Highest IV Rank — 67.4%
  • 2015-08-24: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.32$18.79$21.72$21.72$19.89
Max Pain$21.38$20.00$23.00$23.00$20.00
ATM IV30.4%22.3%47.2%22.3%34.5%
Expected Move8.6%6.4%13.5%6.4%9.9%
HV 20d27.9%25.2%30.4%26.5%28.5%
HV 60d25.3%23.3%27.5%23.3%26.9%
IV Rank31.3%16.5%67.4%17.2%38.1%
IV Percentile64.5%22.2%97.2%22.2%86.9%
Term Structure-0.3%-9.2%3.0%0.1%0.6%
VWIV28.6%16.6%43.0%16.6%41.7%
Skew 25d4.3%-3.4%13.5%1.7%6.7%
Skew 10d12.7%-11.1%36.5%-3.1%31.0%
Call IV 25d27.9%22.7%39.4%22.8%34.0%
Put IV 25d32.2%20.8%50.5%24.4%40.6%
Bid-Ask Spread %39.3415.3293.8616.2480.86
Gamma HHI0.250.180.370.290.26
Net GEX-2.2M-2.8M-1.8M-2.4M-2.5M
Net DEX67.7M42.1M109.8M42.9M69.9M
Net VEX-402.1K-456.9K-369.8K-391.0K-451.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.470.5018.562.824.22
Total Volume12,648.7141,63534,9522,7874,253
Total OI107,392.14392,169128,44092,169128,437

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$21.72$23.0022.3%6.4%26.5%17.2%16.6%1.7%0.1%-2.4M42.9M-391.0K2.8216.247302,05727,46064,709
2015-08-04$21.41$23.0024.2%6.9%26.8%21.1%22.1%-3.4%-1.7%-2.3M45.9M-387.4K3.6417.632,4168,79428,01564,324
2015-08-05$21.60$23.0022.5%6.4%25.2%17.5%21.9%-0.6%-0.4%-2.3M42.1M-389.2K3.6315.452,4228,79828,61764,530
2015-08-06$21.27$22.0024.9%6.9%25.7%22.7%23.3%2.5%2.1%-2.3M50.1M-382.1K0.8623.682,5522,19429,75664,546
2015-08-07$21.00$22.0025.0%6.9%25.3%22.8%23.6%2.4%1.8%-2.2M52.1M-379.3K2.6224.262,2585,91429,92264,625
2015-08-10$21.62$22.0025.7%6.8%27.2%24.2%24.0%2.2%2.0%-2.4M44.0M-405.5K2.2121.071,1622,56829,90266,596
2015-08-11$20.83$22.0026.7%7.2%29.8%26.5%25.7%3.2%2.5%-2.1M59.1M-383.0K12.1418.065516,69130,42266,187
2015-08-12$20.71$21.0025.6%7.3%29.6%24.1%26.5%3.3%1.2%-2.4M67.5M-406.4K5.4019.811,3007,02030,48271,906
2015-08-13$20.55$21.0025.1%7.2%29.2%23.1%24.2%1.9%2.6%-2.3M69.3M-400.9K5.5115.321,3137,24130,07172,167
2015-08-14$20.35$22.0026.0%7.5%28.6%18.4%21.6%3.1%1.3%-2.2M73.7M-391.3K5.6822.391,1676,63230,12072,578
2015-08-17$20.27$22.0025.4%7.3%28.6%17.0%26.1%2.2%2.2%-2.1M74.8M-371.8K5.5823.811,1926,65530,12371,211
2015-08-18$20.03$22.0025.2%7.2%28.6%16.5%21.1%-0.4%2.5%-2.0M74.7M-375.0K3.6917.072,2738,37930,19371,290
2015-08-19$19.91$22.0025.7%7.4%27.1%17.6%25.5%2.4%3.0%-1.9M78.2M-369.8K1.0321.9180483130,73572,801
2015-08-20$19.62$21.0029.6%8.5%27.1%26.8%30.2%2.4%2.2%-1.8M79.1M-370.1K18.5624.461,78733,16531,31373,487
2015-08-21$18.93$21.0035.7%10.2%28.1%40.8%33.5%4.8%-0.2%-2.8M109.8M-387.0K2.1841.726,91715,05331,37792,411
2015-08-24$18.95$20.0047.2%13.5%28.2%67.4%35.8%11.1%-9.2%-2.5M92.5M-432.2K2.0189.209,92319,94530,49992,573
2015-08-25$18.79$20.0046.2%13.2%27.5%64.9%34.1%12.6%-8.7%-1.8M80.9M-426.5K4.9993.863,31316,53338,68688,213
2015-08-26$19.43$20.0042.1%12.1%30.4%55.5%43.0%10.1%-3.7%-1.9M74.8M-438.2K5.9983.711,89111,32838,23785,747
2015-08-27$19.85$20.0039.9%11.4%29.6%50.4%40.0%9.6%-3.7%-2.1M68.6M-456.9K0.6877.4912,4388,49938,84689,594
2015-08-28$19.99$20.0037.9%10.9%28.9%45.8%39.4%13.5%-2.7%-2.7M70.7M-448.2K0.5078.0717,8288,83632,78189,746
2015-08-31$19.89$20.0034.5%9.9%28.5%38.1%41.7%6.7%0.6%-2.5M69.9M-451.6K4.2280.868153,43838,29690,141